Although pygame should installed from your package manager in most cases, there are few that require compiling from source. To compile from source in Red Hat/Fedora/CentOS you should follow the commands below.

# As root install the following packagesyuminstallpython-develSDL_image-develSDL_mixer-develSDL_ttf-develSDL-develsmpeg-develnumpysubversionportmidi-devel# It will also install the libraries (of devel packages) as dependancies.